MRVL Options History — May 2011

In May 2011, MRVL traded between $14.18 and $16.24. ATM implied volatility averaged 38.3%, placing in the 33.0% IV rank vs the trailing year. The 30-day expected move averaged 11.1%. IV traded above realized volatility by 9.1% (HV 20d: 29.3%). Max pain ranged from $15.00 to $18.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 5 of 21 days. Put/call ratio averaged 0.31.

Notable Days

2011-05-27: Highest Volume — 131,622 contracts
2011-05-27: Largest IV drop — 36.4% change
2011-05-24: Highest IV Rank — 68.4%
2011-05-23: Largest Expected Move — 13.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$14.77	$14.18	$16.24	$15.29	$16.24
Max Pain	$15.57	$15.00	$18.00	$18.00	$15.00
ATM IV	38.3%	26.9%	45.6%	35.0%	27.0%
Expected Move	11.1%	7.7%	13.1%	10.0%	7.7%
HV 20d	29.3%	22.9%	45.2%	30.6%	45.0%
HV 60d	37.7%	34.1%	42.2%	38.5%	34.1%
IV Rank	33.0%	0.0%	68.4%	16.0%	0.6%
IV Percentile	57.8%	0.0%	89.7%	35.3%	0.4%
Term Structure	-2.9%	-6.8%	2.4%	1.3%	1.5%
VWIV	38.6%	27.0%	45.5%	34.9%	27.4%
Skew 25d	2.5%	1.1%	3.9%	2.0%	3.5%
Skew 10d	5.7%	2.5%	8.7%	3.1%	7.2%
Call IV 25d	38.2%	26.1%	44.9%	35.3%	26.1%
Put IV 25d	40.7%	28.0%	46.4%	37.3%	29.6%
Bid-Ask Spread %	4.65	3.53	8.97	4.87	5.21
Gamma HHI	0.18	0.14	0.26	0.19	0.23
Net GEX	6.1M	3.8M	13.7M	6.4M	13.7M
Net DEX	77.2M	-271.7M	182.6M	114.7M	-258.9M
Net VEX	-1.3M	-1.6M	-1.1M	-1.3M	-1.6M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.31	0.05	1.00	0.50	0.36
Total Volume	36,219.095	8,852	131,622	18,153	36,914
Total OI	710,767.619	511,138	815,220	701,786	632,882

Daily Data (21 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Vol	Put Vol	Call OI	Put OI
2011-05-02	$15.29	$18.00	35.0%	10.0%	30.6%	16.0%	34.9%	2.0%	1.3%	6.4M	114.7M	-1.3M	0.50	4.87	12,099	6,054	450,169	251,617
2011-05-03	$15.00	$18.00	35.9%	10.3%	30.1%	18.6%	36.8%	1.6%	0.9%	5.3M	138.1M	-1.3M	0.50	4.19	27,229	13,538	455,541	255,743
2011-05-04	$15.00	$18.00	35.6%	10.2%	28.9%	17.7%	37.0%	1.1%	0.9%	5.9M	136.6M	-1.3M	0.28	4.46	10,054	2,790	469,974	260,534
2011-05-05	$14.57	$18.00	38.2%	11.0%	30.2%	25.0%	38.3%	2.3%	-0.8%	4.3M	168.5M	-1.2M	0.33	4.23	25,434	8,418	472,283	260,433
2011-05-06	$14.68	$15.00	37.7%	10.6%	29.7%	23.6%	36.6%	3.9%	-1.5%	5.5M	154.3M	-1.2M	0.15	3.76	17,460	2,560	484,793	262,044
2011-05-09	$14.80	$15.00	39.7%	10.8%	29.3%	32.0%	37.7%	3.6%	-2.5%	6.3M	143.1M	-1.3M	0.15	4.23	14,990	2,202	495,156	263,001
2011-05-10	$15.05	$15.00	38.1%	10.5%	29.7%	27.0%	36.3%	3.6%	-2.1%	7.6M	118.3M	-1.3M	0.07	4.48	19,914	1,439	502,752	264,277
2011-05-11	$14.83	$15.00	27.9%	10.7%	29.8%	0.0%	36.8%	3.6%	-2.7%	6.0M	144.9M	-1.2M	0.05	4.44	91,837	4,476	506,242	262,329
2011-05-12	$14.94	$15.00	36.8%	10.5%	29.8%	26.2%	36.5%	3.3%	-2.2%	6.8M	129.3M	-1.3M	0.47	3.61	8,570	3,990	528,686	263,165
2011-05-13	$14.60	$15.00	39.7%	11.4%	30.6%	34.7%	39.6%	3.3%	-4.4%	4.7M	156.4M	-1.2M	0.13	4.54	20,394	2,678	517,538	260,123
2011-05-16	$14.19	$15.00	42.6%	12.2%	30.6%	43.5%	42.2%	2.2%	-5.2%	3.8M	182.6M	-1.1M	1.00	6.89	18,543	18,552	531,067	260,327
2011-05-17	$14.30	$15.00	42.1%	12.1%	26.8%	41.9%	41.6%	2.0%	-4.9%	4.1M	176.0M	-1.2M	0.18	4.30	7,494	1,358	544,078	271,142
2011-05-18	$14.54	$15.00	39.9%	11.4%	27.4%	35.4%	40.3%	2.9%	-5.2%	4.8M	153.5M	-1.2M	0.14	4.80	10,145	1,439	546,133	267,370
2011-05-19	$14.43	$15.00	42.2%	12.1%	23.6%	42.1%	41.5%	2.3%	-5.9%	4.6M	163.2M	-1.2M	0.28	4.45	7,061	1,985	532,426	265,775
2011-05-20	$14.34	$15.00	42.1%	12.1%	23.4%	52.7%	41.8%	2.1%	-5.9%	4.5M	169.2M	-1.1M	0.35	4.40	11,078	3,866	535,101	266,360
2011-05-23	$14.34	$15.00	45.6%	13.1%	22.9%	65.9%	45.5%	1.4%	-6.2%	5.0M	-27.6M	-1.1M	0.70	3.93	29,673	20,778	391,022	120,116
2011-05-24	$14.21	$15.00	45.3%	13.0%	22.9%	68.4%	44.9%	1.9%	-6.8%	4.7M	-13.2M	-1.2M	0.15	3.53	17,735	2,669	409,709	136,127
2011-05-25	$14.18	$15.00	44.6%	12.8%	23.0%	65.9%	44.5%	2.1%	-6.3%	4.8M	-9.0M	-1.1M	0.30	3.98	10,652	3,219	416,364	137,118
2011-05-26	$14.56	$15.00	42.2%	12.1%	25.3%	56.5%	42.7%	3.6%	-4.6%	6.0M	-47.4M	-1.3M	0.13	8.97	114,293	15,399	423,027	139,328
2011-05-27	$16.17	$15.00	26.9%	7.7%	45.2%	0.0%	27.0%	1.1%	2.4%	13.1M	-271.7M	-1.6M	0.20	4.43	109,567	22,055	466,522	147,726
2011-05-31	$16.24	$15.00	27.0%	7.7%	45.0%	0.6%	27.4%	3.5%	1.5%	13.7M	-258.9M	-1.6M	0.36	5.21	27,148	9,766	475,931	156,951